Market Response to Listing Switch between Order-Driven Markets PDF Download

Author: Jerry C. Ho
Publisher:
ISBN:
Category :
Languages : en
Pages : 47

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Book Description
This paper examines the change in returns, trading activities, and liquidity of 43 firms that moved from the Over-The-Counter market to Taiwan Stock Exchange during 2002. Using the intraday data, our empirical results suggest that abnormal returns rise as the switching date is approaching, but these returns fall off following the switch. The up-and-down pattern in cumulative abnormal returns around the switching date can be explained by the quot;correction-to-an-overreaction hypothesisquot;. The light trading activities of the switching stocks over the shorter event window are due to the precaution of public investors and trading activities are aroused after the switching firms stay for a longer period of time. The width and depth of liquidity are both worse following the switch. Day trading and stealth trading provide a possible explanation for this phenomenon.

Author: Deniz Ozenbas
Publisher: Springer Nature
ISBN: 3030748170
Category : Business enterprises
Languages : en
Pages : 111

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Book Description
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.

Author: Jean-Philippe Bouchaud
Publisher: Cambridge University Press
ISBN: 1108639062
Category : Science
Languages : en
Pages : 464

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Book Description
The widespread availability of high-quality, high-frequency data has revolutionised the study of financial markets. By describing not only asset prices, but also market participants' actions and interactions, this wealth of information offers a new window into the inner workings of the financial ecosystem. In this original text, the authors discuss empirical facts of financial markets and introduce a wide range of models, from the micro-scale mechanics of individual order arrivals to the emergent, macro-scale issues of market stability. Throughout this journey, data is king. All discussions are firmly rooted in the empirical behaviour of real stocks, and all models are calibrated and evaluated using recent data from Nasdaq. By confronting theory with empirical facts, this book for practitioners, researchers and advanced students provides a fresh, new, and often surprising perspective on topics as diverse as optimal trading, price impact, the fragile nature of liquidity, and even the reasons why people trade at all.

Author: Frédéric Abergel
Publisher: Springer Science & Business Media
ISBN: 8847017661
Category : Business & Economics
Languages : en
Pages : 316

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Book Description
The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.

Author: Shing-yang Hu
Publisher:
ISBN:
Category :
Languages : en
Pages : 53

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Book Description
This paper proposes a new definition for trade direction to capture the information effect in order-driven markets. To define the trade direction, the existing literature uses quote-matching rules to identify whether it is the buyer or the seller initiates or triggers a trade. The quote-matching rule is well suited for a quote-driven market, but not so for an order-driven market. In a continuous auction and order-driven market, orders that are submitted based on information but do not trigger a trade will not be counted using the quote-matching rule. Also, in a call auction order-driven market, one cannot identify who triggers the trade because the timing of order clearance does not depend on the arrival of any specific order.To deal with these issues, we propose to define the trade direction based on the sign of the net order arrived between two transactions, that is the relative size of the buy and sell orders. If the buy order arrived between two transactions is larger than the sell order, we say the trade is buyer dominated and define the trade direction to be positive. Based on the new definition, we develop ATT (Augmented Tick Test) rules to infer the trade direction. To examine the validity of this new trade direction, we apply our ATT rules to the transaction data observed in the Paris Bourse and the Taiwan Stock Exchange and find that ATT rules have information content. Furthermore, using the ATT rule and quote-matching rule together allows us to decompose the trade-related return into permanent and temporary components. The ATT rule is better at capturing the permanent component, while the quote-matching rule is better at capturing the temporary component.

Author: Larry Harris
Publisher: OUP USA
ISBN: 9780195144703
Category : Business & Economics
Languages : en
Pages : 664

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Book Description
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).

Author: Li Wei
Publisher:
ISBN:
Category :
Languages : en
Pages : 48

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Book Description
Have structural changes in the U.S. equities markets, such as decimalization, the growth of ECNs, and the improvements in order routing technologies altered the advantages of stock exchange relative to decentralized dealer and ECN trading? We examine market quality for companies that recently switch listings from Nasdaq to the NYSE. We find these stocks show significant reductions in return volatilities and price reversals, quoted spreads, and trading costs. The improvements are greater for companies whose pre-switch order flows are more fragmented, consistent with the notion that order flow consolidation improves market quality. Our findings are not influenced by sample selection bias.

Author: Robert A. Schwartz
Publisher: John Wiley & Sons
ISBN: 0471689882
Category : Business & Economics
Languages : en
Pages : 482

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Book Description
An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.

Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470391073
Category : Business & Economics
Languages : en
Pages : 868

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Book Description
Volume I: Financial Markets and Instruments skillfully covers the general characteristics of different asset classes, derivative instruments, the markets in which financial instruments trade, and the players in those markets. It also addresses the role of financial markets in an economy, the structure and organization of financial markets, the efficiency of markets, and the determinants of asset pricing and interest rates. Incorporating timely research and in-depth analysis, the Handbook of Finance is a comprehensive 3-Volume Set that covers both established and cutting-edge theories and developments in finance and investing. Other volumes in the set: Handbook of Finance Volume II: Investment Management and Financial Management and Handbook of Finance Volume III: Valuation, Financial Modeling, and Quantitative Tools.

Author: United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 264

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Book Description